Dr. Dennis Umlandt
Assistant Professor of Financial Econometrics
SOWI w.4.04
by appointment
Research
Research Interests
- Financial Econometrics
- Asset Pricing
- International Finance
- Time Series Analysis
Publications
Working Paper
- Burgard, Jan Pablo, Matthias Neuenkirch, and Dennis Umlandt. „(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions“ (2023). Available at SSRN .
- Gretener, Alexander Georges, Matthias Neuenkirch, and Dennis Umlandt. „Dynamic Mixture Vector Autoregressions with Score-Driven Weights“ (2022). Available at SSRN .
Publications
- Umlandt, Dennis. "Score-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance". Journal of Econometrics (2023): 105470.
- Reitz, Stefan, and Dennis Umlandt. "Currency returns and FX dealer balance sheets". Journal of International Economics 133 (2021): 103541.
Appointments and Education
Appointments
2022
Assistant Professor (Tenure Track), Department of Banking and Finance, University of Innsbruck
2019 - 2022
PostDoc, Quantitative Finance and Risk Analysis Group , University of Trier
2016 - 2019
Research Assistant, Institute for Quantitative Business and Economics Research, University of Kiel
Education
2016 - 2020
Ph.D. in Quantitative Economics, University of Kiel
2017 - 2019
Advanced Studies Program (ASP) in International Economic Policy Research, Kiel Institute for the World Economy
2014 - 2016
M.Sc in Quantitative Economics, University of Kiel
2013 - 2016
M.Sc in Financial Mathematics, University of Kiel
2012 - 2016
B.Sc in Mathematics, University of Kiel
2010 - 2012
B.Sc in Economics, University of Cologne